英文摘要 |
Using a dynamic stochastic general equilibrium model modified from Aoki et al. (2004) and Bernanke et al. (1999), we apply credit frictions to the housing market and attempt to capture the characteristics of Taiwan’s housing market and business fluctuations. Calibrating the model to Taiwan’s data, the model generates several important properties that echo empirical observations: housing investment is more volatile than capital investment, the correlation of housing investment with GDP is lower than that of capital investment with GDP, the house price is more volatile than GDP, and the external finance premium on housing exhibits counter-cyclical movement. Finally, by way of the financial accelerator, external finance premium on housing acts as an important transmission mechanism in the fluctuations of house price and housing investment. |